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Finite Difference Engine for Option under CoxIngersollRoss Short Rate Process #824

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merged 6 commits into from
May 30, 2020
Merged

Finite Difference Engine for Option under CoxIngersollRoss Short Rate Process #824

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9e3c141
Initial Commit
w31ha0 May 27, 2020
1202b5a
test fix
w31ha0 May 29, 2020
fe63f3d
insert boost test checkpoints
w31ha0 May 29, 2020
376026a
Revert "insert boost test checkpoints"
lballabio May 30, 2020
d24c188
Don't store processes by const reference.
lballabio May 30, 2020
23907f1
Clean up.
lballabio May 30, 2020
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8 changes: 8 additions & 0 deletions QuantLib.vcxproj
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Expand Up @@ -1175,6 +1175,7 @@
<ClInclude Include="ql\methods\finitedifferences\operators\fdmg2op.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonop.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmcirop.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearop.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopcomposite.hpp" />
Expand Down Expand Up @@ -1218,6 +1219,7 @@
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmg2solver.hpp" />
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.hpp" />
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp" />
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmcirsolver.hpp" />
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp" />
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmndimsolver.hpp" />
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.hpp" />
Expand Down Expand Up @@ -1569,6 +1571,7 @@
<ClInclude Include="ql\pricingengines\vanilla\fdsimplebsswingengine.hpp" />
<ClInclude Include="ql\pricingengines\vanilla\fdstepconditionengine.hpp" />
<ClInclude Include="ql\pricingengines\vanilla\fdvanillaengine.hpp" />
<ClInclude Include="ql\pricingengines\vanilla\fdcirvanillaengine.hpp" />
<ClInclude Include="ql\pricingengines\vanilla\hestonexpansionengine.hpp" />
<ClInclude Include="ql\pricingengines\vanilla\integralengine.hpp" />
<ClInclude Include="ql\pricingengines\vanilla\jumpdiffusionengine.hpp" />
Expand All @@ -1583,6 +1586,7 @@
<ClInclude Include="ql\processes\all.hpp" />
<ClInclude Include="ql\processes\batesprocess.hpp" />
<ClInclude Include="ql\processes\blackscholesprocess.hpp" />
<ClInclude Include="ql\processes\coxingersollrossprocess.hpp" />
<ClInclude Include="ql\processes\endeulerdiscretization.hpp" />
<ClInclude Include="ql\processes\eulerdiscretization.hpp" />
<ClInclude Include="ql\processes\forwardmeasureprocess.hpp" />
Expand Down Expand Up @@ -2293,6 +2297,7 @@
<ClCompile Include="ql\methods\finitedifferences\operators\fdmg2op.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonop.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmcirop.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmlocalvolfwdop.cpp" />
Expand Down Expand Up @@ -2323,6 +2328,7 @@
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmg2solver.cpp" />
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp" />
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp" />
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmcirsolver.cpp" />
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp" />
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.cpp" />
<ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.cpp" />
Expand Down Expand Up @@ -2565,6 +2571,7 @@
<ClCompile Include="ql\pricingengines\vanilla\fdsabrvanillaengine.cpp" />
<ClCompile Include="ql\pricingengines\vanilla\fdsimplebsswingengine.cpp" />
<ClCompile Include="ql\pricingengines\vanilla\fdvanillaengine.cpp" />
<ClCompile Include="ql\pricingengines\vanilla\fdcirvanillaengine.cpp" />
<ClCompile Include="ql\pricingengines\vanilla\hestonexpansionengine.cpp" />
<ClCompile Include="ql\pricingengines\vanilla\integralengine.cpp" />
<ClCompile Include="ql\pricingengines\vanilla\jumpdiffusionengine.cpp" />
Expand All @@ -2574,6 +2581,7 @@
<ClCompile Include="ql\pricingengines\vanilla\mchestonhullwhiteengine.cpp" />
<ClCompile Include="ql\processes\batesprocess.cpp" />
<ClCompile Include="ql\processes\blackscholesprocess.cpp" />
<ClCompile Include="ql\processes\coxingersollrossprocess.cpp" />
<ClCompile Include="ql\processes\endeulerdiscretization.cpp" />
<ClCompile Include="ql\processes\eulerdiscretization.cpp" />
<ClCompile Include="ql\processes\forwardmeasureprocess.cpp" />
Expand Down
24 changes: 24 additions & 0 deletions QuantLib.vcxproj.filters
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Expand Up @@ -2241,6 +2241,9 @@
<ClInclude Include="ql\processes\blackscholesprocess.hpp">
<Filter>processes</Filter>
</ClInclude>
<ClInclude Include="ql\processes\coxingersollrossprocess.hpp">
<Filter>processes</Filter>
</ClInclude>
<ClInclude Include="ql\processes\endeulerdiscretization.hpp">
<Filter>processes</Filter>
</ClInclude>
Expand Down Expand Up @@ -3892,6 +3895,9 @@
<ClInclude Include="ql\pricingengines\vanilla\fdhestonvanillaengine.hpp">
<Filter>pricingengines\vanilla</Filter>
</ClInclude>
<ClInclude Include="ql\pricingengines\vanilla\fdcirvanillaengine.hpp">
<Filter>pricingengines\vanilla</Filter>
</ClInclude>
<ClInclude Include="ql\methods\finitedifferences\meshers\fdm1dmesher.hpp">
<Filter>methods\finitedifferences\meshers</Filter>
</ClInclude>
Expand Down Expand Up @@ -3949,6 +3955,9 @@
<ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonop.hpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClInclude>
<ClInclude Include="ql\methods\finitedifferences\operators\fdmcirop.hpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClInclude>
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmbatessolver.hpp">
<Filter>methods\finitedifferences\solvers</Filter>
</ClInclude>
Expand All @@ -3961,6 +3970,9 @@
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp">
<Filter>methods\finitedifferences\solvers</Filter>
</ClInclude>
<ClInclude Include="ql\methods\finitedifferences\solvers\fdmcirsolver.hpp">
<Filter>methods\finitedifferences\solvers</Filter>
</ClInclude>
<ClInclude Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.hpp">
<Filter>methods\finitedifferences\meshers</Filter>
</ClInclude>
Expand Down Expand Up @@ -5445,6 +5457,9 @@
<ClCompile Include="ql\processes\blackscholesprocess.cpp">
<Filter>processes</Filter>
</ClCompile>
<ClCompile Include="ql\processes\coxingersollrossprocess.cpp">
<Filter>processes</Filter>
</ClCompile>
<ClCompile Include="ql\processes\endeulerdiscretization.cpp">
<Filter>processes</Filter>
</ClCompile>
Expand Down Expand Up @@ -6621,6 +6636,9 @@
<ClCompile Include="ql\pricingengines\vanilla\fdhestonvanillaengine.cpp">
<Filter>pricingengines\vanilla</Filter>
</ClCompile>
<ClCompile Include="ql\pricingengines\vanilla\fdcirvanillaengine.cpp">
<Filter>pricingengines\vanilla</Filter>
</ClCompile>
<ClCompile Include="ql\methods\finitedifferences\operators\fdm2dblackscholesop.cpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClCompile>
Expand Down Expand Up @@ -6666,6 +6684,9 @@
<ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonop.cpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClCompile>
<ClCompile Include="ql\methods\finitedifferences\operators\fdmcirop.cpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClCompile>
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmbatessolver.cpp">
<Filter>methods\finitedifferences\solvers</Filter>
</ClCompile>
Expand All @@ -6678,6 +6699,9 @@
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp">
<Filter>methods\finitedifferences\solvers</Filter>
</ClCompile>
<ClCompile Include="ql\methods\finitedifferences\solvers\fdmcirsolver.cpp">
<Filter>methods\finitedifferences\solvers</Filter>
</ClCompile>
<ClCompile Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.cpp">
<Filter>methods\finitedifferences\meshers</Filter>
</ClCompile>
Expand Down
8 changes: 8 additions & 0 deletions ql/CMakeLists.txt
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Original file line number Diff line number Diff line change
Expand Up @@ -453,6 +453,7 @@ set(QuantLib_SRC
methods/finitedifferences/operators/fdmg2op.cpp
methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
methods/finitedifferences/operators/fdmhestonop.cpp
methods/finitedifferences/operators/fdmcirop.cpp
methods/finitedifferences/operators/fdmhullwhiteop.cpp
methods/finitedifferences/operators/fdmlinearoplayout.cpp
methods/finitedifferences/operators/fdmlocalvolfwdop.cpp
Expand Down Expand Up @@ -483,6 +484,7 @@ set(QuantLib_SRC
methods/finitedifferences/solvers/fdmg2solver.cpp
methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp
methods/finitedifferences/solvers/fdmhestonsolver.cpp
methods/finitedifferences/solvers/fdmcirsolver.cpp
methods/finitedifferences/solvers/fdmhullwhitesolver.cpp
methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp
methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
Expand Down Expand Up @@ -722,6 +724,7 @@ set(QuantLib_SRC
pricingengines/vanilla/exponentialfittinghestonengine.cpp
pricingengines/vanilla/fdbatesvanillaengine.cpp
pricingengines/vanilla/fdblackscholesvanillaengine.cpp
pricingengines/vanilla/fdcirvanillaengine.cpp
pricingengines/vanilla/fdcevvanillaengine.cpp
pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
pricingengines/vanilla/fdhestonvanillaengine.cpp
Expand Down Expand Up @@ -752,6 +755,7 @@ set(QuantLib_SRC
processes/merton76process.cpp
processes/mfstateprocess.cpp
processes/ornsteinuhlenbeckprocess.cpp
processes/coxingersollrossprocess.cpp
processes/squarerootprocess.cpp
processes/stochasticprocessarray.cpp
quotes/eurodollarfuturesquote.cpp
Expand Down Expand Up @@ -1602,6 +1606,7 @@ set(QuantLib_HDR
methods/finitedifferences/operators/fdmg2op.hpp
methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
methods/finitedifferences/operators/fdmhestonop.hpp
methods/finitedifferences/operators/fdmcirop.hpp
methods/finitedifferences/operators/fdmhullwhiteop.hpp
methods/finitedifferences/operators/fdmlinearop.hpp
methods/finitedifferences/operators/fdmlinearopcomposite.hpp
Expand Down Expand Up @@ -1645,6 +1650,7 @@ set(QuantLib_HDR
methods/finitedifferences/solvers/fdmg2solver.hpp
methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp
methods/finitedifferences/solvers/fdmhestonsolver.hpp
methods/finitedifferences/solvers/fdmcirsolver.hpp
methods/finitedifferences/solvers/fdmhullwhitesolver.hpp
methods/finitedifferences/solvers/fdmndimsolver.hpp
methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
Expand Down Expand Up @@ -1988,6 +1994,7 @@ set(QuantLib_HDR
pricingengines/vanilla/fdbatesvanillaengine.hpp
pricingengines/vanilla/fdbermudanengine.hpp
pricingengines/vanilla/fdblackscholesvanillaengine.hpp
pricingengines/vanilla/fdcirvanillaengine.hpp
pricingengines/vanilla/fdcevvanillaengine.hpp
pricingengines/vanilla/fdconditions.hpp
pricingengines/vanilla/fddividendamericanengine.hpp
Expand Down Expand Up @@ -2032,6 +2039,7 @@ set(QuantLib_HDR
processes/merton76process.hpp
processes/mfstateprocess.hpp
processes/ornsteinuhlenbeckprocess.hpp
processes/coxingersollrossprocess.hpp
processes/squarerootprocess.hpp
processes/stochasticprocessarray.hpp
qldefines.hpp
Expand Down
2 changes: 2 additions & 0 deletions ql/methods/finitedifferences/operators/Makefile.am
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Expand Up @@ -11,6 +11,7 @@ this_include_HEADERS = \
fdmg2op.hpp \
fdmhestonhullwhiteop.hpp \
fdmhestonop.hpp \
fdmcirop.hpp \
fdmhullwhiteop.hpp \
fdmlinearopcomposite.hpp \
fdmlocalvolfwdop.hpp \
Expand All @@ -35,6 +36,7 @@ cpp_files = \
fdmg2op.cpp \
fdmhestonhullwhiteop.cpp \
fdmhestonop.cpp \
fdmcirop.cpp \
fdmhullwhiteop.cpp \
fdmlinearoplayout.cpp \
fdmlocalvolfwdop.cpp \
Expand Down
1 change: 1 addition & 0 deletions ql/methods/finitedifferences/operators/all.hpp
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Expand Up @@ -8,6 +8,7 @@
#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
#include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
#include <ql/methods/finitedifferences/operators/fdmcirop.hpp>
#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp>
Expand Down
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